What is your operating system? You cannot convert Windows 9x or Me.
Having said that, there isn't a lot of point for general home use in converting to NTFS unless you are using large hard drives (> 32GB).
The real advantages of NTFS show much more in professional/office use where that extra security and other bits and bobs have some relevance.
Another case of if it ain't broke - - - -.
If you're happy with the way your system runs, leave it alone!